The Pilgrims wanted to celebrate a harvest festival. Being Sabbath-observing Christians adhering closely to the Hebrew Bible as well as the Christian Bible, and coming from Holland (
Ritualwell.org - Thanksgiving) and the Netherlands where there was a large Jewish population, they knew of Sukkot. (
Judaism 101: Sukkot) As a harvest festival, Sukkot typically falls between mid-September and mid-October, shifting every year due to the differences between the Jewish calendar & the Julian calendar (then) & Gregorian Calendar (now).
Despite that, as a harvest festival, the Pilgrims probably celebrated their Thanksgiving in October, Lincoln declared the first Thanksgiving day to be the last Thursday in November. (
Thanksgiving Proclamation by Abraham Lincoln) Each year the President would declare the holiday to fall on the last Thursday in Nov because it wasn't an official, fixed holiday. President Hoover declared Nov 27, 1930 (4th & last Thu), Nov 26, 1931 (4th & last Thu), & Nov 24, 1932 (4th & last Thu) as Thanksgiving Day. President Roosevelt declared Nov 30, 1933 (5th & last Thu), Nov 29, 1934 (5th & last Thu), Nov 28, 1935 (4th & last Thu), Nov 26, 1936 (4th & last Thu), Nov 25, 1937 (4th & last Thu), & Nov 24, 1938 (4th & last Thu). But then, in 1939, FDR declared Nov 23 (4th, but not last Thu) to be Thanksgiving Day. (
Presidential Thanksgiving Proclamations 1930-)
Varying the Lincoln-established tradition of Last Thursday In November drove people nuts. In 1939, the last Thursday was Nov 30, the 5th Thu of the month. While FDR carved his turkey on Nov 23, everybody else was digging in on Nov 30. Some business leaders had petitioned FDR to declare Thanksgiving a week earlier in 1939 to get a head start on the Christmas shopping season. FDR, never fearing to tread into micromanaging the economy, made the adjustment despite protests from other businesses that scheduled their products & business timings far in advance of the presidential declarations. (
Thanksgiving) School schedules were thrown awry. State governors took the matter in their own hands, which wreaked havoc with cross-state family vacation plans.
Reasserting his power, FDR insisted on declaring the 2nd-to-last Thursday in 1940 (penultimate was Nov 21) and in 1941 (penultimate was Nov 20). Finally, Congress ended the outrage in Dec 1941 by declaring Thanksgiving a national holiday to always fall on the 4th Thu of Nov. Thus, if Nov has five Thursdays, which happens again in 2012, Thanksgiving will be on the 4th Thursday, not the last Thursday, of November. Federal regularization took away the states' governors' declarations as well as the Presidential declarations.